| 不允许卖空的投资组合M-V有效前沿的漂移分析 |
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| 引用本文： | 刘晓娟,张冰川. 不允许卖空的投资组合M-V有效前沿的漂移分析[J]. 上海电力学院学报, 2005, 21(2): 193-196 |
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| 作者姓名： | 刘晓娟 张冰川 |
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| 作者单位： | 1. 上海电力学院,数理系,上海,200090
2. 山东潍坊学院,数学系,山东,潍坊,261543 |
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| 摘 要： | 分析了不含无风险资产的投资组合在不允许卖空的情况下M—V有效前沿的结构，以及当证券数目增加(或减少)k种时M—V有效前沿的变化情况，得到了有效前沿的运动规律：当可选证券数目增加时有效前沿向下方漂移；当可选证券数目减少时有效前沿向上方漂移．并给出了有效前沿的漂移角度及漂移距离公式．
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| 关 键 词： | 卖空 有效前沿 漂移分析 |
| 文章编号： | 1006-4729(2005)02-0193-04 |
| 收稿时间： | 2004-11-19 |
| 修稿时间： | 2004-11-19 |
Fluctuation Analysis for M-V Efficient Frontier with no Short Sales |
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| LIU Xiao-juan and ZHANG Bing-chuan. Fluctuation Analysis for M-V Efficient Frontier with no Short Sales[J]. Journal of Shanghai University of Electric Power, 2005, 21(2): 193-196 |
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| Authors: | LIU Xiao-juan and ZHANG Bing-chuan |
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| Affiliation: | LIU Xiao-juan~,ZHANG Bing-chuan~ |
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| Abstract: | This paper studies the structure of M-V portfolio efficient frontier with no short sales and its changes when the number of securities increases or decrease by k. The movement rule of the portfolio efficient frontier is derived as follows:the efficient frontier shows a downward movement with the numbers of securities increasing, and an upward movement with the decreasing numbers of securities. The angle of fluctuation and the distance formula are obtained. |
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| Keywords: | short sales efficient frontier fluctuation analysis |
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